Throughout 2024, we developed two portfolios to analyze system performance, and now it’s time to evaluate any errors. The second portfolio was assembled at the end of May with the following systems:
Those that performed the worst were the ones trading in commodities.
The rest of the systems performed quite satisfactorily, with no major additional observations. It’s clear that continuous systems in indexes with a solid track record tend to maintain it, with the U.S. markets being the main beneficiaries. As for commodities, I believe they are not the best option for the portfolio.
In another article, we examined the “Lider Portfolio,” which included all kinds of systems whose only requirement was to have been profitable over the last four years, regardless of risk. Coincidentally, the ones that fared the worst were also those trading commodities. Additionally, the intraday systems in that portfolio, while they excelled in the past, did not perform well this last year.
In short, from a probabilistic standpoint:
Continuous systems in U.S. indexes (mainly Nasdaq and S&P 500) show the best performance.
Intraday systems are less reliable than continuous ones but allow traders with smaller capital to participate and provide greater diversification.
Systems based on commodities should be discarded unless they deliver truly extraordinary results.
We will soon publish an article featuring a portfolio of the best iSystems, regardless of the developer, focused on delivering outstanding results.
The ultimate goal is to develop a portfolio—or a set of logical criteria—that allows us to select systems wisely and assemble portfolios that, over a one-year horizon, consistently tilt the odds in our favor.
Disclaimer:
The information presented is for informational purposes only and does not constitute financial or investment advice. Trading futures and other financial instruments involves significant risk and can result in the loss of your entire investment. Past performance is not indicative of future results.